The Danish band announced earlier this month that Caggiano was leaving after 10 years, saying they "wouldn't change a moment of it" and wishing the guitarist the best for the future.
He has been replaced in the live lineup by Flemming C. Lund from The Arcade Order.
Now Caggiano has opened up on the split, admitting he is "emotional" about it but also looking forward to what's to come.
He says: "I'm sorry if this is a bit overdue but now that I've had ample time to process everything going on around me, I have a few things I'd like to say publicly.
"First off, I want to say thank you to everyone out there for all the amazing messages and support I've gotten over the last few days. It's been very powerful and humbling for me to say the least. It's reassurance that I'm on the right path and it means so much to me right now.
"To all the amazing fans and friends I've met all over the world throughout the years... I love and cherish each and every one of you. Thank you for sticking with me through hell or high water.
"The world seems to be getting weirder and weirder with each passing day and life never stops throwing twists and turns at us but you guys always keep me driven, focused and inspired to create music, follow my heart at all costs and chase my dreams wherever they may take me. Thank you all from the bottom of my heart!
"I also want to wish Michael, Jon, Kaspar, (Anders too) and the entire Volbeat camp the best of luck moving forward. I'm extremely proud of everything we accomplished together over the last 10 years.
"Sometimes relationships simply run their course. Sometimes certain obstacles, people or circumstances get in the way of the greater good. Sometimes people change and priorities shift. Sometimes it's unavoidable.
"We had a very special undeniable magic together as a band. It's not something that comes around too often in this life and it's not something to be taken lightly. I certainly do not.
"However, while this is really a very emotional time for me I'm also extremely excited about what lies ahead in the future. Lots of exciting things happening right now.
"I really couldn't be more fired up!! Stay tuned."
Former Anthrax man Caggiano joined Volbeat in 2013 and appeared on their most recent four albums – 2013's Outlaw Gentlemen & Shady Ladies, 2016's Seal the Deal & Let's Boogie, 2019's Rewind, Replay, Rebound and 2021's Servant Of The Mind.